Journal Article

Cayé, Thomas, Herdegen, Martin and Muhle-Karbe, Johannes (2019) Trading with small nonlinear price impact. Annals of Applied Probability . (In Press)

Cayé, Thomas, Herdegen, Martin and Muhle-Karbe, Johannes (2019) Scaling limits of processes with fast nonlinear mean reversion. Stochastic Processes and their Applications . doi:10.1016/j.spa.2019.06.008 (In Press)

Herdegen, Martin and Schweizer, Martin (2018) Semi-efficient valuations and put-call parity. Mathematical Finance, 28 (4). pp. 1061-1106. doi:10.1111/mafi.12162

Herdegen, Martin and Muhle-Karbe, Johannes (2018) Sensitivity of optimal consumption streams. Stochastic Processes and their Applications . doi:10.1016/j.spa.2018.06.011 (In Press)

Bouchard, Bruno, Fukasawa, Masaaki, Herdegen, Martin and Muhle-Karbe, Johannes (2018) Equilibrium returns with transaction costs. Finance and Stochastics, 22 (3). pp. 569-601. doi:10.1007/s00780-018-0366-6

Herdegen, Martin and Muhle-Karbe, Johannes (2018) Stability of Radner Equilibria with respect to small frictions. Finance and Stochastics . doi:10.1007/s00780-018-0354-x

Herdegen, Martin and Herrmann, Sebastian (2018) Strict local martingales and optimal investment in a Black-Scholes model with a bubble. Mathematical Finance . doi:10.1111/mafi.12175 (In Press)

Herdegen, Martin (2017) No-arbitrage in a numeraire-independent modeling framework. Mathematical Finance, 27 (2). pp. 568-603. doi:10.1111/mafi.12088

Herdegen, Martin and Herrmann, Sebastian (2017) Minimal conditions for implications of Gronwall-Bellman. Journal of Mathematical Analysis and Applications, 446 (2). pp. 1654-1665.

Herdegen, Martin and Schweizer, Martin (2016) Strong bubbles and strict local martingales. International Journal of Theoretical and Applied Finance, 19 (4). 1650022. doi:10.1142/S0219024916500229

Herdegen, Martin and Herrmann, Sebastian (2016) Single jump processes and strict local martingales. Stochastic Processes and their Applications, 126 (2). pp. 337-359. doi:10.1016/j.spa.2015.09.003